Continuous-time Random Walks for the Numerical Solution of Stochastic Differential Equations

This paper introduces time-continuous numerical schemes to simulate stochastic differential equations (SDEs) arising in mathematical finance, population dynamics, chemical kinetics, epidemiology, biophysics, and polymeric fluids. These schemes are obtained by spatially discretizing the Kolmogorov eq...

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Bibliographic Details

Main Authors:	Bou-Rabee, Nawaf, Vanden-Eijnden, Eric
Format:	eBook Book
Language:	English
Published:	Providence, Rhode Island American Mathematical Society 2018
Edition:	1
Series:	Memoirs of the American Mathematical Society
Subjects:	Random walks (Mathematics) Stochastic differential equations Stochastic differential equations > Numerical solutions parabolic partial differential equation Stochastic differential equations stochastic simulation algorithm discrete maximum principle Markov jump process invariant measure Fokker-Planck equation stochastic Lyapunov function geometric ergodicity Kolmogorov equation non-symmetric diffusions monotone operator
ISBN:	9781470431815, 1470431815
ISSN:	0065-9266, 1947-6221
Online Access:	Get full text
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